multivariate Gaussian distribution

(1.6 hours to learn)

Summary

The multivariate Gaussian distribution is a generalization of the Gaussian distribution to higher dimensions. The parameters of an n-dimension multivariate Gaussian distribution are an n-dimensional mean vector and an n-by-n dimensional covariance matrix.

Context

This concept has the prerequisites:

Core resources (read/watch one of the following)

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Stanford's Machine Learning lecture notes
Lecture notes for Stanford's machine learning course, aimed at graduate and advanced undergraduate students.
Author: Andrew Y. Ng

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Supplemental resources (the following are optional, but you may find them useful)

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See also